Econometrics III

3 Credits

Oriented towards macro-econometric methods. Topics covered will be selected from the following: Further discussion of topics covered in ECON624 , non-stationary time series models (models with deterministic trends, unit roots, co-integration, error correction models, vector autoregressive models), econometric models of conditional heteroskedasticity (ARCH and GARCH models), Bayesian econometrics and methods for Bayesian computation, large-dimensional factor analysis, models of changes in regime, and methods for time series forecasting.